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Information-based complexity

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weighted spaces, which is a formalization of the above observation. They were able to show that with this additional domain knowledge high dimensional integrals satisfying certain conditions were tractable even in the worst case! In contrast the Monte Carlo method gives only a stochastic assurance. See Sloan and Woźniakowski
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we have to settle for conjectures about the complexity hierarchy. The reason is that the input is a number or a vector of numbers and can thus be entered into the computer. Thus there is typically no adversary argument at the information level and the complexity of a discrete problem is rarely known.
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information. To give a simple illustration, in the numerical approximation of an integral, only samples of the integrand at a finite number of points are available. In the numerical solution of partial differential equations the functions specifying the boundary conditions and the coefficients of the
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dimensions in the CMO represent monthly future times. Due to the discounted value of money variables representing times for in the future are less important than the variables representing nearby times. Thus the integrals are non-isotropic. Sloan and Woźniakowski introduced the very powerful idea of
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The univariate integration problem was for illustration only. Significant for many applications is multivariate integration. The number of variables is in the hundreds or thousands. The number of variables may even be infinite; we then speak of path integration. The reason that integrals are
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Since the information is partial and contaminated, only approximate solutions can be obtained. IBC studies computational complexity and optimal algorithms for approximate solutions in various settings. Since the worst case setting often leads to negative results such as unsolvability and
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The goal of information-based complexity is to create a theory of computational complexity and optimal algorithms for problems with partial, contaminated and priced information, and to apply the results to answering questions in various disciplines. Examples of such disciplines include
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variable. Since one can never obtain a closed-form solution to the problems of interest one has to settle for a numerical solution. Since a function of a real or complex variable cannot be entered into a digital computer, the solution of continuous problems involves
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This annual prize, which was created in 1999, consists of $ 3000 and a plaque. It is given for outstanding achievement in information-based complexity. The recipients are listed below. The affiliation is as of the time of the award.
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These results are empirical; where does computational complexity come in? QMC is not a panacea for all high dimensional integrals. What is special about financial derivatives? Here's a possible explanation. The
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This annual award, which was created in 1996, consists of $ 3000 ($ 4000 since 2015) and a plaque. Many, but by no means all of the awards have been for research in IBC. The recipients have been
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2012 Michael Gnewuch, Department of Computer Science, Christian-Albrechts-Universitaet zu Kiel, Germany and School of Mathematics and Statistics, University of New South Wales, Sydney, Australia
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had the key insight that the optimal algorithm and the computational complexity of solving a continuous problem depended on the available information. He applied this insight to the solution of
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beat MC by one to three orders of magnitude. The results were reported to a number of Wall Street finance to considerable initial skepticism. The results were first published by Paskov and
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important in many disciplines is that they occur when we want to know the expected behavior of a continuous process. See for example, the application to mathematical finance below.
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intractability, settings with weaker assurances such as average, probabilistic and randomized are also studied. A fairly new area of IBC research is
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differential operator can only be sampled. Furthermore, this partial information can be expensive to obtain. Finally the information is often
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Prentice Hall, 1964. Reissued Chelsea Publishing Company, 1982; Russian translation MIR, 1985; Reissued American Mathematical Society, 1998
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2004 Christiane Lemieux, University of Calgary, Calgary, Alberta, Canada, and Josef Dick, University of New South Wales, Sydney, Australia
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occurs for almost every continuous problem that has been investigated. How can we try to vanquish the curse? There are two possibilities:
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J. Complexity 14, 1-33, 1998. For which classes of integrals is QMC superior to MC? This continues to be a major research problem.
112: 904:, Journal of Portfolio Management 22, 113-120. Today QMC is widely used in the financial sector to value financial derivatives. 346: 176: 1442: 172: 1098:
2013 Christoph Aistleitner, Department of Analysis and Computational Number Theory, Technische Universitat Graz, Austria
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2010 Boleslaw Z. Kacewicz, Department of Mathematics, AGH University of Science and Technology, Cracow, Poland
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dimensions (dimensions and variables are used interchangeably) and that we want to guarantee an error at most
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Extensive bibliographies may be found in the monographs N (1988), TW (1980), TWW (1988) and TW (1998). The
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2016 Fred J. Hickernell, Department of Applied Mathematics, Illinois Institute of Technology, Chicago, USA
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The general setting for information-based complexity was formulated by Traub and Woźniakowski in 1980 in
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2006 Leszek Plaskota, Department of Mathematics, Informatics and Mechanics, University of Warsaw, Poland
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Very high dimensional integrals are common in finance. For example, computing expected cash flows for a
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For a list of more recent monographs and pointers to the extensive literature see To Learn More below.
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to compute the integral analytically; we have to approximate it numerically. We compute the values of
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for any integrand in some class. The computational complexity of the problem is known to be of order
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2006 Jakob Creutzig, TU Darmstadt, Germany and Dirk Nuyens, Katholieke Universiteit, Leuven, Belgium
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This annual award, which created in 2003, consists of $ 1000 and a plaque. The recipients have been
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2009 Thomas Mueller-Gronbach, Fakultaet fuer Informatik und Mathematik, Universitaet Passau, Germany
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The Computational Complexity of Differential and Integral Equations: An Information-Based Approach,
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numbers by a combinatory algorithm to compute an approximation to the integral. See the monograph
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2005 Friedrich Pillichshammer, Institute for Financial Mathematics, University of Linz, Austria
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2012 (Special prize) Krzysztof Sikorski, Department of Computer Science, University of Utah
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2003 Frances Kuo, School of Mathematics, University of New South Wales, Sydney, Australia
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2014 Frances Kuo, School of Mathematics, University of New South Wales, Sydney, Australia
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2004 Peter Mathe, Weierstrass Institute for Applied Analysis and Stochastics, Germany
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We stated the curse of dimensionality for integration. But exponential dependence on
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We illustrate some important concepts with a very simple example, the computation of
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2015 Peter Kritzer, Department of Financial Mathematics, University of Linz, Austria
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2005 Ian Sloan, Scientia Professor, University of New South Wales, Sydney, Australia
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Precursors to IBC may be found in the 1950s by Kiefer, Sard, and Nikolskij. In 1959
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2018 Arnulf Jentzen, Eidgenössische Technische Hochschule (ETH) Zürich, Switzerland
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2015 Mario Ullrich, Institute of Analysis, Johannes Kepler University Linz, Austria
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2018 Paweł Przybyłowicz, AGH University of Science and Technology in Kraków, Poland
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2014 Tino Ullrich, Institute for Numerical Simulation, University of Bonn, Germany
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2012 Pawel Przybylowicz, AGH University of Science and Technology, Cracow, Poland
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When are Quasi-Monte Carlo Algorithms Efficient for High Dimensional Integration?
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2011 Aicke Hinrichs, Fakultät für Mathematik und Informatik, FSU Jena, Germany
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years. Recall that if a worst case assurance is required the time is of order
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2009 Frank Aurzada, Steffen Dereich, Michael Scheutzow and Christian Vormoor
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Lecture Notes in Mathematics, vol. 1349, Springer-Verlag, New York, 1988
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spaces, while the applications are usually for multivariate problems.
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2019 Jan Vybíral, Czech Technical University, Prague, Czech Republic
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Friedrich Pillichshammer, Johannes Kepler University, Linz, Austria
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2007 Klaus Ritter, Department of Mathematics, TU Darmstadt, Germany
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J.F Traub, 1985. An Introduction to Information-Based Complexity
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Deterministic and Stochastic Error Bounds in Numerical Analysis,
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Traub, J. F., Woźniakowski, H., and Wasilkowski, G. W. (1988).
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2015 Thomas Müller-Gronbach, Klaus Ritter, Larisa Yaroslavtseva
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2000 Sergei Pereverzev, Ukrainian Academy of Science, Ukraine
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We can weaken the guarantee that the error must be less than
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numbers are the partial information about the true integrand
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Josef Dick, University of New South Wales, Sydney, Australia
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2002 Stefan Heinrich, University of Kaiserslautern, Germany
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Istvan Berkes, Robert F. Tichy and the late Walter Philipp
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Traub, J. F., Woźniakowski, H., and Wasilkowski, G. W.,
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Simon Foucart, Alain Pajor, Holger Rauhut, Tino Ullrich
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2007 Andreas Neuenkirch, Universität Frankfurt, Germany
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time units. People in finance have long been using the
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Because we have only partial information we can use an
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David Harvey, Joris van der Hoeven and Grégoire Lecerf
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2008 Anargyros Papageorgiou, Columbia University, USA
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Prize for Achievement in Information-Based Complexity
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Carlos Beltrán, Jordi Marzo and Joaquim Ortega-Cerdà
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Information-Based Complexity Young Researcher Award
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2001 G. W. Wasilkowski, University of Kentucky, USA
920: 864: 837: 798: 768: 748: 728: 688: 668: 627: 604: 571: 531: 492: 447: 361: 328: 1395:Selected Topics in Approximation and Computation, 990:2003 Arthur G. Werschulz, Fordham University, USA 1327:Iterative Methods for the Solution of Equations, 1266:2014 Bernd Carl, Aicke Hinrichs, Philipp Rudolph 1261:Joos Heintz, Bart Kuijpers, Andrés Rojas Paredes 951:Iterative Methods for the Solution of Equations. 806:time units. Even if the error is not small, say 54:but its sources remain unclear because it lacks 1404:Cambridge University Press, Cambridge, UK, 1996 1402:Noisy Information and Computational Complexity, 1208:Martin Avendano, Teresa Krick and Martin Sombra 1138:B. Bank, M. Giusti, J. Heintz, and G. M. Mbakop 1092:2011 Peter Kritzer, University of Linz, Austria 1089:2010 Daniel Rudolf, University of Jena, Germany 967:There are a number of prizes for IBC research. 1433:has a searchable data base of some 730 items. 716:(CMO) requires the calculation of a number of 167:. IBC has studied such continuous problems as 1393:Kowalski, M., Sikorski, K., and Stenger, F., 1107:2016 Mario Hefter, TU Kaiserslautern, Germany 1083:2008 Jan Vybíral, University of Jena, Germany 1049:Winfried Sickel, University of Jena, Germany. 978:1999 Erich Novak, University of Jena, Germany 703:. See An Example: Mathematical Finance below. 8: 1416:Average-Case Analysis of Numerical Problems, 1378:: CS1 maint: multiple names: authors list ( 1046:Thomas Kühn, University of Leipzig, Germany 1116:Larisa Yaroslavtseva, University of Passau 151:for the continuous problems that arise in 1425:Oxford University Press, Oxford, UK, 2001 1411:Oxford University Press, Oxford, UK, 1998 1397:Oxford University Press, Oxford, UK, 1995 1250:Lutz Kämmerer, Stefan Kunis, Daniel Potts 913: 902:Faster Valuation of Financial Derivatives 856: 850: 823: 811: 787: 781: 761: 741: 721: 681: 661: 617: 590: 584: 564: 555:Assume we want to compute an integral in 524: 473: 430: 402: 387: 354: 316: 298: 293: 287: 85:Learn how and when to remove this message 1423:Optimal Solution of Nonlinear Equations, 1086:2009 Steffen Dereich, TU Berlin, Germany 1390:Oxford University Press, New York, 1991 1334:A General Theory of Optimal Algorithms, 1216:2008 Stefan Heinrich and Bernhard Milla 1197:Josef Dick and Friedrich Pillichshammer 1127:Best Paper Award, Journal of Complexity 957:A General Theory of Optimal Algorithms. 1371: 329:{\displaystyle \int _{0}^{1}f(x)\,dx.} 1341:Information, Uncertainty, Complexity, 1247:Dmitriy Bilyk, V.N. Temlyakov, Rui Yu 645:. We say the problem is intractable. 345:For most integrands we can't use the 7: 1407:Traub, J. F., and Werschulz, A. G., 1332:Traub, J. F., and Woźniakowski, H., 1239:Leszek Plaskota, Greg W. Wasilkowski 888:, Woźniakowski) discovered that the 1283:2017 Martijn Baartse and Klaus Meer 221:, economics, mathematical finance, 1163:Bernard Mourrain and Victor Y. Pan 838:{\displaystyle \epsilon =10^{-2},} 714:collateralized mortgage obligation 25: 1202:2006 Knut Petras and Klaus Ritter 1113:Takashi Goda, University of Tokyo 1292:Julian Grote and Christoph Thäle 708:An example: mathematical finance 113:Oracle complexity (optimization) 101: 31: 1473:Computational complexity theory 1418:Springer-Verlag, New York, 2000 605:{\displaystyle \epsilon ^{-d}.} 347:fundamental theorem of calculus 177:ordinary differential equations 1343:Addison-Wesley, New York, 1983 1336:Academic Press, New York, 1980 799:{\displaystyle \epsilon ^{-d}} 756:being the number of months in 635:The exponential dependence on 484: 478: 439: 436: 423: 408: 395: 389: 313: 307: 173:partial differential equations 1: 1358:. New York: Academic Press. 1356:Information-Based Complexity 263:continuous quantum computing 191:, and very-high-dimensional 137:Information-based complexity 18:Information based complexity 1409:Complexity and Information, 736:dimensional integrals, the 545:travelling salesman problem 110:It has been suggested that 1489: 1448:Complexity and Information 1141:R. DeVore and V. Temlyakov 506:Complexity and Information 894:low discrepancy sequences 689:{\displaystyle \epsilon } 669:{\displaystyle \epsilon } 572:{\displaystyle \epsilon } 532:{\displaystyle \epsilon } 127:Proposed since June 2024. 1157:1999 Arthur G. Werschulz 865:{\displaystyle 10^{720}} 519:has to be to compute an 149:computational complexity 40:This article includes a 642:curse of dimensionality 69:more precise citations. 922: 866: 839: 800: 770: 750: 730: 690: 670: 629: 606: 573: 533: 494: 449: 363: 330: 1443:Journal of Complexity 923: 867: 840: 801: 771: 751: 731: 691: 671: 630: 607: 574: 541:integer factorization 534: 515:to tell us how large 495: 493:{\displaystyle f(x).} 450: 364: 331: 1188:2004 Stefan Heinrich 912: 849: 810: 780: 760: 740: 720: 680: 660: 616: 583: 563: 523: 472: 386: 353: 286: 165:mathematical finance 120:into this article. ( 1174:2002 Peter Hertling 947:nonlinear equations 921:{\displaystyle 360} 892:(QMC) method using 878:Columbia University 749:{\displaystyle 360} 729:{\displaystyle 360} 699:We can incorporate 303: 239:weather forecasting 181:nonlinear equations 1386:Werschulz, A. G., 1132:1996 Pascal Koiran 918: 874:Monte Carlo method 862: 835: 796: 769:{\displaystyle 30} 766: 746: 726: 686: 666: 628:{\displaystyle d.} 625: 602: 569: 529: 513:adversary argument 490: 445: 359: 326: 289: 243:climate prediction 185:integral equations 143:) studies optimal 42:list of references 1183:Boleslaw Kacewicz 890:quasi-Monte Carlo 508:for particulars. 500:We combine these 448:{\displaystyle .} 362:{\displaystyle f} 134: 133: 129: 95: 94: 87: 16:(Redirected from 1480: 1383: 1377: 1369: 1310: 1300:Aicke Hinrichs, 1286:2018 Co-winners 1272:2016 Co-winners 1255:2013 Co-winners 1244:2012 Co-winners 1233:2011 Co-winners 1222:2010 Co-winners 1205:2007 Co-winners 1191:2005 Co-winners 1177:2003 Co-winners 1171:2001 Erich Novak 1166:J. Maurice Rojas 1160:2000 Co-winners 1146:1998 Co-winners 1135:1997 Co-winners 1110:2017 Co-winners 1043:2017 Co-winners 1023:2013 Co-winners 927: 925: 924: 919: 871: 869: 868: 863: 861: 860: 844: 842: 841: 836: 831: 830: 805: 803: 802: 797: 795: 794: 775: 773: 772: 767: 755: 753: 752: 747: 735: 733: 732: 727: 701:domain knowledge 695: 693: 692: 687: 675: 673: 672: 667: 634: 632: 631: 626: 611: 609: 608: 603: 598: 597: 578: 576: 575: 570: 538: 536: 535: 530: 499: 497: 496: 491: 454: 452: 451: 446: 435: 434: 407: 406: 368: 366: 365: 360: 335: 333: 332: 327: 302: 297: 169:path integration 153:physical science 125: 105: 104: 97: 90: 83: 79: 76: 70: 65:this article by 56:inline citations 35: 34: 27: 21: 1488: 1487: 1483: 1482: 1481: 1479: 1478: 1477: 1463: 1462: 1439: 1370: 1366: 1353: 1322: 1311:, Mario Ullrich 1304: 1289:Stefan Heinrich 1149:Stefan Heinrich 965: 939: 910: 909: 852: 847: 846: 819: 808: 807: 783: 778: 777: 758: 757: 738: 737: 718: 717: 710: 678: 677: 658: 657: 614: 613: 586: 581: 580: 561: 560: 521: 520: 470: 469: 426: 398: 384: 383: 351: 350: 284: 283: 271: 235:medical imaging 223:computer vision 130: 106: 102: 91: 80: 74: 71: 60: 46:related reading 36: 32: 23: 22: 15: 12: 11: 5: 1486: 1484: 1476: 1475: 1465: 1464: 1461: 1460: 1455: 1450: 1445: 1438: 1437:External links 1435: 1427: 1426: 1421:Sikorski, K., 1419: 1412: 1405: 1400:Plaskota, L., 1398: 1391: 1384: 1365:978-0126975451 1364: 1351: 1344: 1337: 1330: 1325:Traub, J. F., 1321: 1318: 1317: 1316: 1315: 1314: 1313: 1312: 1302:Joscha Prochno 1295: 1294: 1293: 1290: 1284: 1281: 1280: 1279: 1276: 1270: 1267: 1264: 1263: 1262: 1259: 1253: 1252: 1251: 1248: 1242: 1241: 1240: 1237: 1231: 1230: 1229: 1226: 1225:Aicke Hinrichs 1220: 1217: 1214: 1213: 1212: 1209: 1203: 1200: 1199: 1198: 1195: 1189: 1186: 1185: 1184: 1181: 1180:Markus Blaeser 1175: 1172: 1169: 1168: 1167: 1164: 1158: 1155: 1154: 1153: 1150: 1144: 1143: 1142: 1139: 1133: 1124: 1123: 1122: 1119: 1118: 1117: 1114: 1108: 1105: 1102: 1099: 1096: 1093: 1090: 1087: 1084: 1081: 1078: 1075: 1072: 1069: 1060: 1059: 1058: 1055: 1052: 1051: 1050: 1047: 1041: 1038: 1035: 1032: 1031: 1030: 1027: 1021: 1018: 1015: 1012: 1009: 1006: 1003: 1000: 997: 994: 991: 988: 985: 982: 979: 964: 961: 938: 935: 917: 859: 855: 834: 829: 826: 822: 818: 815: 793: 790: 786: 765: 745: 725: 709: 706: 705: 704: 697: 685: 665: 639:is called the 624: 621: 601: 596: 593: 589: 568: 528: 489: 486: 483: 480: 477: 462: 461: 460: 459: 458: 457: 456: 455: 444: 441: 438: 433: 429: 425: 422: 419: 416: 413: 410: 405: 401: 397: 394: 391: 358: 343: 342: 341: 340: 339: 338: 337: 336: 325: 322: 319: 315: 312: 309: 306: 301: 296: 292: 270: 267: 227:control theory 132: 131: 109: 107: 100: 93: 92: 50:external links 39: 37: 30: 24: 14: 13: 10: 9: 6: 4: 3: 2: 1485: 1474: 1471: 1470: 1468: 1459: 1456: 1454: 1451: 1449: 1446: 1444: 1441: 1440: 1436: 1434: 1432: 1424: 1420: 1417: 1413: 1410: 1406: 1403: 1399: 1396: 1392: 1389: 1385: 1381: 1375: 1367: 1361: 1357: 1352: 1349: 1345: 1342: 1338: 1335: 1331: 1328: 1324: 1323: 1319: 1308: 1303: 1299: 1298: 1297:2019 Winners 1296: 1291: 1288: 1287: 1285: 1282: 1277: 1274: 1273: 1271: 1268: 1265: 1260: 1257: 1256: 1254: 1249: 1246: 1245: 1243: 1238: 1235: 1234: 1232: 1227: 1224: 1223: 1221: 1218: 1215: 1210: 1207: 1206: 1204: 1201: 1196: 1193: 1192: 1190: 1187: 1182: 1179: 1178: 1176: 1173: 1170: 1165: 1162: 1161: 1159: 1156: 1151: 1148: 1147: 1145: 1140: 1137: 1136: 1134: 1131: 1130: 1128: 1125: 1120: 1115: 1112: 1111: 1109: 1106: 1103: 1100: 1097: 1094: 1091: 1088: 1085: 1082: 1079: 1076: 1073: 1070: 1067: 1066: 1064: 1061: 1056: 1053: 1048: 1045: 1044: 1042: 1039: 1036: 1033: 1028: 1025: 1024: 1022: 1019: 1016: 1013: 1010: 1007: 1004: 1001: 998: 995: 992: 989: 986: 983: 980: 977: 976: 973: 970: 969: 968: 962: 960: 958: 953: 952: 948: 944: 937:Brief history 936: 934: 932: 915: 905: 903: 899: 895: 891: 887: 883: 879: 875: 857: 853: 832: 827: 824: 820: 816: 813: 791: 788: 784: 763: 743: 723: 715: 707: 702: 698: 683: 663: 655: 654: 653: 651: 646: 644: 643: 638: 622: 619: 599: 594: 591: 587: 566: 558: 553: 549: 546: 542: 526: 518: 514: 509: 507: 503: 487: 481: 475: 467: 442: 431: 427: 420: 417: 414: 411: 403: 399: 392: 382: 381: 380: 379: 378: 377: 376: 375: 374: 372: 356: 348: 323: 320: 317: 310: 304: 299: 294: 290: 282: 281: 280: 279: 278: 277: 276: 275: 274: 268: 266: 264: 258: 256: 252: 248: 244: 240: 236: 232: 228: 224: 220: 214: 212: 207: 202: 198: 194: 190: 186: 182: 178: 175:, systems of 174: 170: 166: 162: 158: 154: 150: 146: 142: 138: 128: 123: 119: 115: 114: 108: 99: 98: 89: 86: 78: 68: 64: 58: 57: 51: 47: 43: 38: 29: 28: 19: 1453:Joseph Traub 1428: 1422: 1415: 1414:Ritter, K., 1408: 1401: 1394: 1387: 1355: 1347: 1340: 1333: 1326: 1194:Yosef Yomdin 1126: 1062: 971: 966: 956: 954: 950: 940: 930: 906: 901: 882:Papageorgiou 711: 649: 647: 640: 636: 556: 554: 550: 516: 512: 510: 501: 465: 463: 370: 344: 272: 259: 215: 211:contaminated 210: 205: 189:fixed points 140: 136: 135: 126: 111: 81: 75:October 2014 72: 61:Please help 53: 1431:IBC website 1346:Novak, E., 1305: [ 1236:Thomas Daun 1152:P. Kirrinis 193:integration 161:engineering 67:introducing 1320:References 1258:Shu Tezuka 884:, Paskov, 247:statistics 231:geophysics 213:by noise. 145:algorithms 1374:cite book 825:− 814:ϵ 789:− 785:ϵ 684:ϵ 664:ϵ 592:− 588:ϵ 567:ϵ 527:ϵ 415:… 291:∫ 157:economics 1467:Category 845:this is 269:Overview 543:or the 373:points 251:Hilbert 219:physics 206:partial 201:complex 122:Discuss 63:improve 1362:  963:Prizes 255:Banach 245:, and 163:, and 118:merged 1309:] 943:Traub 898:Traub 886:Traub 48:, or 1380:link 1360:ISBN 464:The 241:and 197:real 147:and 916:360 858:720 744:360 724:360 369:at 253:or 199:or 141:IBC 116:be 1469:: 1376:}} 1372:{{ 1307:de 900:, 854:10 821:10 764:30 265:. 237:, 233:, 229:, 225:, 187:, 183:, 179:, 171:, 159:, 155:, 52:, 44:, 1382:) 1368:. 880:( 833:, 828:2 817:= 792:d 650:d 637:d 623:. 620:d 600:. 595:d 557:d 517:n 502:n 488:. 485:) 482:x 479:( 476:f 466:n 443:. 440:] 437:) 432:n 428:t 424:( 421:f 418:, 412:, 409:) 404:1 400:t 396:( 393:f 390:[ 371:n 357:f 324:. 321:x 318:d 314:) 311:x 308:( 305:f 300:1 295:0 139:( 124:) 88:) 82:( 77:) 73:( 59:. 20:)

Index

Information based complexity
list of references
related reading
external links
inline citations
improve
introducing
Learn how and when to remove this message
Oracle complexity (optimization)
merged
Discuss
algorithms
computational complexity
physical science
economics
engineering
mathematical finance
path integration
partial differential equations
ordinary differential equations
nonlinear equations
integral equations
fixed points
integration
real
complex
physics
computer vision
control theory
geophysics

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